Official Intervention and Exchange Rate Determination: Evidence from India

2021 ◽  
pp. 097491012110311
Author(s):  
Abdul Rishad ◽  
Sanjeev Gupta ◽  
Akhil Sharma
Keyword(s):  
Exchange Rate ◽  
Policy Formulation ◽  
Policy Objective ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Reserve Bank ◽  
Sterilized Intervention ◽  
Intervention Policy ◽  
Leaning Against The Wind

Despite the adoption of a market-oriented regime, Reserve Bank of India explicitly practices sterilized intervention to normalize unfavourable developments in the market. This study seeks to find empirical evidence on the intensity to which the monetary authority was able to achieve its policy objective of directing exchange rate in the anticipated trail. The study employed an Autoregressive Distributed Lag (ARDL) model to estimate the central bank reaction function in this regard. It was found that 1% purchase of foreign exchange reserve (net intervention) depreciated Indian Rupee by 0.255% for long-term. Whereas in short-term, intervention followed “leaning against the wind” policy to curb market vagueness. The findings of the study recommend that there should be more coordinated approach between official intervention policy and monetary policy formulation in consonance with the economic fundamentals for increasing the effectiveness and sustainability of the intervention operations.

scholarly journals Autoregressive Distributed Lag Kurs Dan Ekspor Karet Remah Terhadap Pertumbuhan Ekonomi Indonesia

2020 ◽  
Vol 3 (2) ◽  
pp. 47
Author(s):  
Nulhanuddin Nulhanuddin ◽  
Devi Andriyani
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Crumb Rubber ◽  
Short Term ◽  
Insignificant Effect ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Ardl Approach

This study aims to determine the effect of short-term and long-term exchange rates and crumb rubber exports on the economic growth of Indonesia. The data used are secondary data for 39 years from 1980 to 2018 accessed on www.world.bank.wdi.data.bank.org, www.pertanian.go.id, www.bps.go.id, and www.bps.go.id. The data analysis method used is the Autoregressive Distributed Lag (ARDL) approach with the help of EViews 10 software. The results show that the economic growth is stationary at the level and exchange rate and exports of stationary crumb rubber at the first difference level and have cointegration in the long-term relationship. The test results in the short-term analysis of the exchange rate have a positive and significant effect, and exports have a positive but insignificant effect on economic growth, while in the long run, the exchange rate has a negative effect but insignificant, and exports have a positive but insignificant effect on the economic growth of Indonesia. Keywords:economic growth, exchange rates, exports and the ARDL approach.  

scholarly journals Indonesian Export Analysis: Autoregressive Distributed Lag (ARDL) Model Approach

2021 ◽  
Vol 23 (3) ◽  
Author(s):  
Syarifah Labibah ◽  
Abd. Jamal ◽  
Taufiq C. Dawood
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
The United States ◽  
Positive Sign ◽  
Short Term ◽  
Ardl Model ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Auto Regressive

There are some factors predicted tohave an effect on the countries’ economic devlopment. This study aimed to analyze the long-term and short-term effects of In-flation, Exchange Rate, and Foreign Economic Growth (the destination of the United States, China, and Japan) on the Indonesian Export. The Auto-Regressive Distributed Lag (ARDL) Model is used in this analysis from 1968 through 2017. The results of the analysis show that in the long-term, the inflation and the economic growth in China as well in Japan has a positive sign and significant effect on Indonesian exports. In addition, in the short-term, the US exchange rate and economic growth have a positive significant effect on Indonesian exports.

scholarly journals Determinan dan Stabilitas Ekspor Crude Palm Oil Indonesia

2017 ◽  
Vol 20 (1) ◽  
pp. 47
Author(s):  
Eva Nurul Huda ◽  
Arif Widodo
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Negative Impact ◽  
Series Data ◽  
Independent Variables ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Ardl Approach ◽  
Short And Long Term

<p><em>We analyze the influence of CPO production, exchange rate, international CPO price and the terms of trade on Indonesian CPO exports in October 2011-December 2015. In doing so, we use the Autoregressive Distributed Lag (ARDL) approach to analyze the monthly time-series data for the periods of 2011:M10-2015:M12. Our findings suggest that both in the short- and long-term, the international CPO price has a significantly negative impact on Indonesia's CPO exports. Meanwhile, the CPO production and exchange rate have negative and significant effects on Indonesia's CPO exports both in short- and long-term. Taken together, all the independent variables have significant effects on Indonesia’s CPO export. Finally, based on CUSUM and CUSUMQ test, it shows that the long-term coefficient of the CPO exports model is stable.</em></p><p><em><br /></em></p><p align="center"><strong>Abstrak</strong></p><p align="center"><strong> </strong></p><p><em>Tujuan dari studi ini adalah untuk menganalisis seberapa besar pengaruh dari produksi kelapa sawit, nilai tukar rupiah terhadap dollar AS, harga CPO internasional dan <em>Term of Trade</em> terhadap ekspor CPO Indonesia pada periode Oktober 2011 sampai dengan Desember 2015. Penelitian ini menggunakan pendekatan <em>Autoregressive Distributed Lag</em> (ARDL) dengan data sekunder runtut waktu bulanan untuk periode 2011:M10-2015:M12. Hasil dari penelitian ini menunjukkan bahwa harga CPO internasional mempunyai efek negatif dan signifikan, baik dalam jangka pendek maupun jangka panjang terhadap ekspor CPO Indonesia. Variable<em> Term of Trade</em> dalam jangka pendek maupun panjang mempunyai efek positif dan signifikan terhadap ekspor CPO, sedangkan variabel produksi kelapa sawit dan nilai tukar rupiah terhadap dolar Amerika mempunyai pengaruh negatif dan signifikan terhadap ekspor dalam jangka pendek maupun panjang. Lebih lanjut, semua variabel independen secara bersama-sama mempengaruhi ekspor CPO di Indonesia, sehingga hipotesis yang menunjukkan tidak ada hubungan antara variabel independen dan dependen ditolak. Terakhir, berdasarkan pada uji CUSUM dan CUSUMQ dapat disimpulkan bahwa model ekspor CPO stabil dalam jangka panjang.<br /></em></p>

The Impact of USD-TRY Forex Rate Volatility on Imports to Turkey from Central Asia

2020 ◽  
pp. 70-89
Author(s):  
Yakup Ari
Keyword(s):  
Exchange Rate ◽  
Central Asia ◽  
Conditional Variance ◽  
Macroeconomic Variables ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Ardl Bounds Test ◽  
Bounds Test ◽  
The Impact

The purpose of this study is to put out the impact of volatility of the USD-TRY forex rate on imports to Turkey from Central Asia. The volatility of the USD/TRY exchange rate is analysed with a conditional variance model which is Generalised Autoregressive Conditional Heteroscedastic (GARCH) model and its extensions. The other section of the methodology is an application of Autoregressive Distributed Lag (ARDL) bounds test which is an efficient approach to determine the cointegration, long-term and short-term relations between macroeconomic variables. The exponential GARCH volatility of the exchange rate and the monthly trade data between the years 2005 and 2018 are used in the ARDL bounds test.

scholarly journals The Impact of Exchange Rate on Market Fundamentals: A Case Study of J-curve Effect in Vietnam

2017 ◽  
Vol 9 (1) ◽  
pp. 45 ◽  
Author(s):  
Nguyen Quang My ◽  
Mustafa Sayim ◽  
Hamid Rahman
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Trade Balance ◽  
Short Term ◽  
Correction Model ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
J Curve ◽  
Curve Effect

This study examines if there is an equilibrium relationship between gross domestic product (GDP), exchange rate fluctuation and trade balance in long-term and short-term in Vietnam. The results show that the short-term and long-term exchange rate fluctuations impact the trade balance in Vietnam; both ARDL (Autoregressive Distributed Lag) and ECM (Error Correction Model) methodologies implied that exchange rate has a statistically negatively impact on the trade balance. Particularly, Autoregressive distributed lag (ARDL) utilized to test the long -term impact, shows the trade balance deficit becomes worse when the REER (real effective exchange rate) increases. ECM (Error Correction Model) equation based on the long-term cointegration equation and impulse response, reveals that the domestic currency devaluation could not improve the trade balance, indicating that the J-curve effect does not hold on the dong, the currency of Vietnam.

scholarly journals Dollarization in Sierra Leone: Evidence and Some Policy Options

2020 ◽  
Vol 7 (4) ◽  
pp. 160
Author(s):  
Abu Bakarr TARAWALIE ◽  
Amadu JALLOH
Keyword(s):  
Exchange Rate ◽  
Sierra Leone ◽  
Correction Term ◽  
Financial Deepening ◽  
Policy Makers ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Short Run ◽  
Key Policy ◽  
Main Determinants

This study aims to empirically investigate the determinants of dollarization in Sierra. It uses quarterly data from 1992Q1 to 2017Q4 and autoregressive distributed lag Bound Testing technique. Both the long and short run results revealed that inflation, exchange rate depreciation, financial deepening and war dummy were the main determinants of dollarization in Sierra Leone during the study period. The error correction term depicts that 53 percent of any disequilibrium in dollarization will be corrected within a year. A key policy recommendation is that policy makers should implement prudent policies that will ensure broader macroeconomic stability (including price stability and exchange rate stability) as a recipe for de-dollarization in Sierra Leone.

scholarly journals The link between urbanization and air pollution in Turkey: Evidence from dynamic Autoregressive Distributed Lag simulations

2021 ◽  
Author(s):  
Alper Aslan ◽  
BUKET ALTINOZ ◽  
BAKİ OZSOLAK
Keyword(s):  
Air Pollution ◽  
Energy Consumption ◽  
Co2 Emissions ◽  
Sustainable Growth ◽  
Similar Relationship ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Positive Shock ◽  
The Relationship

Abstract This study investigates the relationship between urbanization and air pollution in Turkey. Dynamic ARDL method was used for the period 1960–2014. According to the findings, there is a positive and statistically significant relationship between long-term urbanization and Co2. If urbanization increased by 1%, carbon emissions increased by 0.02%. There is a similar relationship between the shocks that will occur in population growth and Co2 emission in the long term. However, there is a negative and statistically insignificant relationship between the two variables. In the relationship between GDP and Co2, there is a positive relationship in the long term. GDP increase of 1% increases Co2 emissions by 0.11%. There is a similar relationship between long-term GDP shocks and Co2 emissions. According to short-term analysis results, energy consumption increases Co2 emissions by the same rate as GDP. However, the astonishing result of the study emerges here. Empirical results show that a long-term positive shock in energy consumption reduces CO2 emissions and a negative shock increases pollution. According to these results, Turkey has not reached the point of sustainable growth. For this reason, this developing country needs to make regulatory implementations and determine future policies for these impacts affecting air pollution.

scholarly journals DAMPAK PEMBANGUNAN EKONOMI, PENGELUARAN RUMAH TANGGA, DAN KETERBUKAAN PERDAGANGAN TERHADAP KONSUMSI ENERGI FINAL DI INDONESIA

2019 ◽  
Vol 4 (2) ◽  
pp. 1
Author(s):  
Bambang Priyo Cahyono ◽  
Yusro Hakimah
Keyword(s):  
Energy Consumption ◽  
Trade Openness ◽  
Value Added ◽  
Short Term ◽  
Final Consumption ◽  
Final Energy ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Final Energy Consumption

This study investigates the impact of economic growth on three main development sectors, household final consumption expenditure, and trade openness towards the growth of final energy consumption in Indonesia using annual data for the period 1972-2016. We applied autoregressive distributed lag (ARDL) procedures which consist of stationarity test, cointegration test, as well as estimation the short-term and long-term relationships. The cointegration test revealed existence cointegration<br />relationship among the variables in the model. In the short-term and long-term model, our results indicated that the growth of value-added in agriculture sector and industry sector, household final consumption expenditures, and trade openness in the short-term and long-term have a significant effect toward final energy consumption in Indonesia, while the growth of value-added in the service sector only given a short-term effect toward final energy consumption in Indonesia. Based on these<br />results, it can be concluded that sustainable economic development in Indonesia needs to be accompanied by the development of new and renewable energy in order to fulfil domestic energy supply which is predicted to continue to increase rapidly in the future.<br />Keyword : final energi consumption, economic development, household final consumption expenditure, trade openness, autoregressive distributed lag modeling<br />JEL Classification : D1, E21, F14, O13, Q43.

COINTEGRATED-BASED FORECAST OF LONG-RUN RELATIONSHIPS

2021 ◽  
Vol 14(63) (1) ◽  
pp. 153-168
Author(s):  
Klara-Dalma Deszke ◽  
Liliana Duguleana
Keyword(s):  
Vector Error Correction ◽  
Final Consumption ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Vector Error ◽  
Long Run ◽  
Lag Model ◽  
Relationship Of

The Vector Error Correction Model (VECM) and the Autoregressive Distributed Lag Model (ARDL) are used to estimate the cointegration in the case of long-run relationship of quarterly GDP and Final Consumption in Romania during the period 1995 – 2019. The actual data of 2020 Q1 and Q2 were used to check the best model’s validity. The static and dynamic approaches of the ARDL model were used to forecast the Final Consumption for Q3 and Q4 of the year 2020. Applying the cointegration model shows the long term relationship of GDP and Final Consumption, but also the effects of other factors, seen in the differences of Final Consumption from its Long-Run evolution, and comprised in the cointegrating terms.

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